Mobina Shafaati

Working Papers:

• The Cross-Section of Option Returns: Deriving Inferences in Sparse Models, with Don M. Chance, Robert Brooks [Abstract] [Online Appendix]

(Semi-finalist for the best paper award in options and derivatives, FMA Annual Meeting 2019)

Presented at Quantitative Finance Seminar 2022 at Northwestern University, FMA 2019, SoFiE Financial Econometrics Summer School 2019, E(astern)FA 2019, *FMA European Conference 2019, Old Dominion University and Louisiana State University.

Previously distributed under the title “The cross-section of individual equity option returns.” 

• Decomposing the Systematic and Idiosyncratic Components of the Diffusive and Tail Risks in Individual Equity Options, with Don M. Chance, Robert Brooks

Grants: Financial Research support from the Canadian Derivatives Institute (CDI), $30,000 CAD)

Presented at 2021 MFA, Old Dominion University.

• A Stock’s 52-week Price Anchor and the Subsequent Dynamics of Stock and Corporate Bond Monthly Returns, with Chen Chen, Sounak Saha, Chris Stivers, Licheng Sun.

• The Growth Effect of Uncertainty about Globalization: Evidence from the Option Market, with Mengying Wang 

(Best paper award in options and derivatives, FMA Annual Meeting 2023)

Presented at *FMA 2023, Derivatives and Asset Pricing Conference 2024.

• Reference Point Prices, Tail Risks, and Risk-Neutral Skewness: Evidence from the Cross-Section of Equity Options, with Licheng Sun 

Presented at FMA 2023.

• Is Option Value Increasing with Volatility? with Don M. Chance, Robert Brooks